September 2011
Intermediate to advanced
384 pages
11h 42m
English
Content preview from Managing Hedge Fund Risk and Financing: Adapting to a New Era
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Return Profiles
Hedge fund return profiles show non-Gaussian1 characteristics. As shown in earlier chapters, an analysis of hedge fund-style specific-return indices showed that fund strategies have exhibited non-zero monthly returns and varying degrees of kurtosis, all greater than zero (see Table A.1). A financial model that is able to fit this observed fat-tailed behavior is required.
Table A.1 Monthly Hedge Fund Index Returns Ranked By Kurtosis.
Sources: Greenwich Alternative Investments, EurekaHedge, J.P. Morgan, Dr. Robert Shiller (Yale University)
